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Author = Farzanegan, Elham

Number of Articles: 1
Bahar-Azadi Gold Coin Hedging Strategies: A Comparison of ADCC, GO-GARCH and Copula-GARCH Approaches

Elham Farzanegan

Volume 23, Issue 75 , July 2018, , Pages 137-166

https://doi.org/10.22054/ijer.2018.9124

Abstract
  In this paper, we employ a new generation of multivariate volatility models, i.e. ADCC, GO-GARCH and Copula-GARCH to estimate and investigate the hedging performance for Bahar-Azadi Gold Coins spot markets (GC) and Futures market (GCF), during 27/10/2010 to 21/7/2016. The empirical results show that ...  Read More